Record Class TermRateLeg

java.lang.Object

java.lang.Record

com.quantfinlib.rates.TermRateLeg

Record Components:

start - unadjusted effective date

end - unadjusted maturity

spread - spread over the index (simple)

convention - schedule, day count, calendar and payment lag

fixingLagDays - business days from fixing to accrual start, >= 0

fixings - published fixings of the index

All Implemented Interfaces:

FloatLeg

public record TermRateLeg(LocalDate start, LocalDate end, double spread, LegConvention convention, int fixingLagDays, FixingHistory fixings)
extends Record
implements FloatLeg

A term-rate floating leg (IBOR-style, or a term SOFR leg): each coupon is the index rate fixed fixingLagDays business days before the accrual start, plus a spread, paid with the leg's payment lag.

The index period is taken to be the accrual period (no index-tenor mismatch, the same simplification as InterestRateSwap). A coupon whose fixing date is before the valuation date uses the published fixing from FixingHistory; later ones use the projection forward (P_p(s)/P_p(e) - 1)/tau.

Worked example: with no fixing lag, no payment lag and the same schedule and day count as an InterestRateSwap floating leg, the PV equals InterestRateSwap.floatLegPv(DiscountCurve, DiscountCurve) (pinned in the tests).

Constructor Summary

Constructors

Constructor	Description
TermRateLeg(LocalDate start, LocalDate end, double spread, LegConvention convention, int fixingLagDays, FixingHistory fixings)	Validates the fields.

Method Summary

Modifier and Type	Method	Description
LegConvention	convention()	Returns the value of the convention record component.
double	couponRate(LegConvention.Period period, DiscountCurve projection)	The coupon rate (index rate plus spread) of one period, from published fixings where they exist and the projection curve otherwise.
LocalDate	end()	Returns the value of the end record component.
final boolean	equals(Object o)	Indicates whether some other object is "equal to" this one.
LocalDate	fixingDate(LegConvention.Period period)	The fixing date of a period: fixingLagDays business days before its accrual start.
int	fixingLagDays()	Returns the value of the fixingLagDays record component.
FixingHistory	fixings()	Returns the value of the fixings record component.
final int	hashCode()	Returns a hash code value for this object.
List<LegConvention.Period>	periods()	The leg's accrual periods.
double	spread()	Returns the value of the spread record component.
LocalDate	start()	Returns the value of the start record component.
final String	toString()	Returns a string representation of this record class.

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface FloatLeg

pv

Constructor Details

TermRateLeg

public TermRateLeg(LocalDate start,
 LocalDate end,
 double spread,
 LegConvention convention,
 int fixingLagDays,
 FixingHistory fixings)

Validates the fields.

Method Details

periods

public List<LegConvention.Period> periods()

Description copied from interface: FloatLeg

The leg's accrual periods.

Specified by:

periods in interface FloatLeg

Returns:

the periods, ascending

fixingDate

public LocalDate fixingDate(LegConvention.Period period)

The fixing date of a period: fixingLagDays business days before its accrual start.

Parameters:

period - one of periods()

Returns:

the fixing date

couponRate

public double couponRate(LegConvention.Period period,
 DiscountCurve projection)

Description copied from interface: FloatLeg

The coupon rate (index rate plus spread) of one period, from published fixings where they exist and the projection curve otherwise.

Specified by:

couponRate in interface FloatLeg

Parameters:

period - one of FloatLeg.periods()

projection - projection curve (its valuation date is the valuation date)

Returns:

the annualised coupon rate

toString

public final String toString()

Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.

Specified by:

toString in class Record

Returns:

a string representation of this object

hashCode

public final int hashCode()

Returns a hash code value for this object. The value is derived from the hash code of each of the record components.

Specified by:

hashCode in class Record

Returns:

a hash code value for this object

equals

public final boolean equals(Object o)

Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. Reference components are compared with Objects::equals(Object,Object); primitive components are compared with the compare method from their corresponding wrapper classes.

Specified by:

equals in class Record

Parameters:

o - the object with which to compare

Returns:

true if this object is the same as the o argument; false otherwise.

start

public LocalDate start()

Returns the value of the start record component.

Returns:

the value of the start record component

end

public LocalDate end()

Returns the value of the end record component.

Returns:

the value of the end record component

spread

public double spread()

Returns the value of the spread record component.

Returns:

the value of the spread record component

convention

public LegConvention convention()

Returns the value of the convention record component.

Returns:

the value of the convention record component

fixingLagDays

public int fixingLagDays()

Returns the value of the fixingLagDays record component.

Returns:

the value of the fixingLagDays record component

fixings

public FixingHistory fixings()

Returns the value of the fixings record component.

Returns:

the value of the fixings record component